Logo
Home Study Material Contact Search
AI Chat FREE
  1. business
  2. accounting
  3. estimate ff 3-factor model coefficients assume tha

Estimate FF 3-Factor Model Coefficients Assume that the annual returns and risk premiums are given...

80.2K

Verified Solution

Question

Accounting

Estimate FF 3-Factor Model Coefficients

Assume that the annual returns and risk premiums are given below.

Portfolio Rfree Mkt-RF SMB HML
2001 13.48 4.88 -14.58 20.47 19.27
2002 -18.96 3.43 -23.97 5.55 11.63
2003 57.71 2.43 33.84 21.43 14.26
2004 22.03 1.33 10.11 5.08 14.68
2005 11.78 4.41 8.57 -1.64 6.34
2006 21.62 3.25 13.22 2.19 16.17
2007 -10.86 4.39 1.19 -9.48 -15.14
2008 -38.29 2.67 -37.99 2.32 4.56
2009 32.83 0.61 26.37 11.61 -13.41
2010 31.93 0.13 13.86 16.28 -5.32
2011 -10.01 0.25 2.21 -6.62 -5.14
2012 21.27 0.05 10.78 -4.16 13.49
2013 51.95 0.20 38.62 9.05 6.77
2014 7.60 0.44 16.59 -8.15 -1.70
2015 -6.92 0.11 2.68 -4.30 -10.34
2016 22.98 0.45 11.66 14.12 16.94
2017 18.33 0.39 18.17 -7.79 -9.28
2018 -14.55 3.61 -9.04 -5.97 -11.24
2019 29.35 3.19 30.27 -8.30 -8.56
2020 15.30 0.39 25.64 5.37 -46.67

Estimate the FamaFrench 3-Factor model alpha and factor betas. Round your answers to four decimal places.

: fill in the blank 1

: fill in the blank 2

: fill in the blank 3

: fill in the blank 4

Answer & Explanation Solved by verified expert
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Become a Member

Other questions asked by students